The didactic materials for CLIL lessons aren't different from those used in any other regular lessons, except for the coursebooks.
The very nature of CLIL lessons implies several limitations for publishers to design CLIL coursebooks. For example: one of cLIL's principles is to scaffold the learning process by taking into account the actual students' previous knowledge in both language and content area. This is something that teachers can do accurately but publishers can only roughly.
Another difficulty is the fact that L2 and L3 learning varies meaningfully from one country to another: not only students acquire a wide range of different languages, but also they do it at different ages. So -English aside- trying to establish the previous communicative competence of a certain age range is a real quest for book authors wanting to design integrated-content materials. Eventually, each specific and unique learning context would need their specific and unique course book.
In any case, this methodology aims precisely at engaging students actively in other kind of activities, beyond the traditional written individual tasks suggested in textbooks.
So, what publishers are doing to be up to date with this teaching method is to offer compact "CLIL projects" -most of them to be delivered in several sessions.
Click here to see an example of those blended materials (physical-digital) released in Spain by Santillana-Richmond. 
All in all: the CLIL coursebook does not exist and is not expected to exist. But, hey: The are language-content coursebooks that can be borrowed! However, the texts and activities will have to be adapted in order to integrate the language, the cognitive and the cultural components.
Besides,being English the most common L2 acquired within the European territory, many schools around Europe have become "bilingual" and there are coursebooks published in English adapted to different countries' national curricula. They can also be a source of inspiration and they include interesting cultural contents. However, we will need to adapt those materials as well to make sure that the principles of CLIL are met, since those books have been designed aiming at different goals.
All this said, we are going to have a look at the materials we can back on from two different perspectives: How to choose appropriate resources and adapt them, and how to create our own CLIL materials.